I'm not an expert in horse biology but I'd assume they are like most other mammals and the males of the species are stronger and faster. So this being the case would particular sexes of horses be preferable for certain activities? Would people consider the sex of the horse they were buying as a factor? In middles ages Europe would war horses be exclusively male like the soldiers? Did they sell for different amounts? How old were horses when they were sold typically?
I can't speak to horses, but among the Bedouin, female camels were preferred to male ones for raiding purposes because they were, anecdotally at least, quieter.
Only a young animal, a male or ill-bred, would grumble on the road, and self-respecting Bedouins did not ride such, since the noise might give them away by night or in surprise attacks.
T.E. Lawrence in Seven Pillars of Wisdom.
In my own experience, camels are rather loud regardless of their sex, but perhaps I've been around the ill-bred ones. Lawrence goes on to joke the she-camels were the only feminine thing about the Arab revolt.